Package org.jquantlib.instruments

Examples of org.jquantlib.instruments.PlainVanillaPayoff.optionType()

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            sb.append("    tol ").append(values[i].tol); // .append('\n');

            if (error<=tolerance) {
                QL.info(" error="+error);
            } else {
                fail(exercise + " " + payoff.optionType() + " option with " + payoff + " payoff:\n"
                        + "    spot value:       " + values[i].s + "\n"
                        + "    strike:           " + payoff.strike() + "\n"
                        + "    dividend yield:   " + values[i].q + "\n"
                        + "    risk-free rate:   " + values[i].r + "\n"
                        + "    reference date:   " + today + "\n"
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        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // QA:[RG]::verified // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
            // use put-call symmetry
            // swap spot and strike, has to be done inline
            double tmp = spot; spot = strike; strike = tmp;

            // swap riskFreeDiscount and dividenDiscount, has to be done inline
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        double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(ex.lastDate());
        double /* @Real */spot = process.stateVariable().currentLink().value();
        QL.require(spot > 0.0, "negative or null underlying given"); // TODO: message
        double /* @Real */strike = payoff.strike();

        if (payoff.optionType()==Option.Type.Put) {
            // use put-call symmetry
            // swap spot and strike, has to be done inline
            double tmp = spot; spot = strike; strike = tmp;

            // swap riskFreeDiscount and dividenDiscount, has to be done inline
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            sb.append("    tol ").append(values[i].tol); // .append('\n');

            if (error<=tolerance) {
                QL.info(" error="+error);
            } else {
                fail(exercise + " " + payoff.optionType() + " option with " + payoff + " payoff:\n"
                        + "    spot value:       " + values[i].s + "\n"
                        + "    strike:           " + payoff.strike() + "\n"
                        + "    dividend yield:   " + values[i].q + "\n"
                        + "    risk-free rate:   " + values[i].r + "\n"
                        + "    reference date:   " + today + "\n"
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